Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 1 | 1 | 1 |
| Score | -7.88 | -5.12 | -8.39 |
| Market Cap (Millions USD) | 525.85 | 554.14 | 570.61 |
| Predicted Beta | 0.08 | 0.08 | 0.1 |
| Idiosyncratic Volatility | 1.78 | 2.1 | 3.19 |
Annualized return and volatility
| IGE | |
|---|---|
| Annualized Return | 0.0562 |
| Annualized Std Dev | 0.2620 |
| Annualized Sharpe (Rf=0%) | 0.2143 |
Row
Daily Return Statistics
| IGE | |
|---|---|
| Observations | 4630.0000 |
| NAs | 484.0000 |
| Minimum | -0.1608 |
| Quartile 1 | -0.0072 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0088 |
| Maximum | 0.1648 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0165 |
| Skewness | -0.1991 |
| Kurtosis | 9.9034 |
Downside Risk
| IGE | |
|---|---|
| Semi Deviation | 0.0120 |
| Gain Deviation | 0.0114 |
| Loss Deviation | 0.0128 |
| Downside Deviation (MAR=210%) | 0.0165 |
| Downside Deviation (Rf=0%) | 0.0118 |
| Downside Deviation (0%) | 0.0118 |
| Maximum Drawdown | 0.6154 |
| Historical VaR (95%) | -0.0249 |
| Historical ES (95%) | -0.0393 |
| Modified VaR (95%) | -0.0244 |
| Modified ES (95%) | -0.0393 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-21 | 2008-11-20 | 2014-06-12 | -0.6154 | 1553 | 132 | 1421 |
| 2014-06-24 | 2016-01-20 | NA | -0.5117 | 1411 | 405 | NA |
| 2002-04-03 | 2002-10-09 | 2003-12-17 | -0.3146 | 442 | 135 | 307 |
| 2006-05-11 | 2006-06-13 | 2007-03-29 | -0.1806 | 225 | 23 | 202 |
| 2008-01-04 | 2008-01-23 | 2008-04-16 | -0.1615 | 72 | 13 | 59 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IGE | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | 0.0 | NA |
| 2002 | 0.0 | 0.7 | 0.0 | 0.9 | 0.0 | 0.0 | -2.3 | 0.0 | 4.5 | 2.1 | 0.0 | 0.0 | 6.0 |
| 2003 | 0.0 | 0.0 | 1.7 | -0.1 | 0.0 | -0.7 | -0.3 | 0.0 | 1.2 | 0.0 | 1.3 | 0.0 | 3.2 |
| 2004 | 0.0 | 2.0 | -0.6 | 0.0 | 1.1 | -0.3 | 0.0 | 1.4 | 1.2 | -0.6 | -1.5 | 0.0 | 2.7 |
| 2005 | 1.4 | -1.5 | 1.9 | 0.0 | 1.6 | 1.8 | 1.1 | 2.1 | 0.0 | 0.3 | 2.7 | 0.0 | 12.1 |
| 2006 | -1.4 | 1.8 | 0.0 | 1.3 | 0.2 | 0.0 | 0.3 | 1.2 | 0.0 | -1.0 | 0.4 | 0.0 | 2.9 |
| 2007 | 0.9 | -0.1 | 0.0 | 0.2 | 1.1 | 0.0 | -0.8 | 0.0 | 1.3 | -2.2 | 0.0 | 0.0 | 0.3 |
| 2008 | 1.8 | 0.0 | 1.3 | -1.7 | 0.0 | 0.6 | -0.3 | 0.0 | -2.4 | 0.0 | -10.6 | 0.0 | -11.2 |
| 2009 | 0.0 | 0.0 | 2.5 | 3.5 | 3.2 | 0.2 | 0.0 | -2.1 | -3.6 | 0.0 | 1.8 | 0.0 | 5.4 |
| 2010 | 4.0 | 1.3 | 2.3 | 0.0 | -3.9 | -0.8 | 0.0 | 3.2 | 1.4 | 0.4 | 2.9 | 0.0 | 11.0 |
| 2011 | 1.6 | -1.3 | 0.2 | 0.0 | -2.6 | 0.8 | 0.0 | -0.7 | 0.0 | -3.1 | -0.5 | 0.0 | -5.7 |
| 2012 | 0.6 | 1.2 | 0.0 | 1.1 | -1.6 | 0.0 | 0.2 | 0.0 | 0.5 | 0.6 | 0.0 | 0.0 | 2.7 |
| 2013 | 1.1 | -0.5 | -0.6 | -1.7 | 0.0 | 0.9 | 1.5 | 0.0 | 0.7 | -0.6 | 0.0 | 0.0 | 0.7 |
| 2014 | 0.0 | 0.0 | 0.5 | -0.4 | 0.0 | 0.1 | -0.8 | 0.0 | -1.9 | 0.0 | 0.1 | 0.0 | -2.4 |
| 2015 | 0.0 | 0.0 | 0.5 | 0.3 | -0.4 | -1.2 | 0.0 | -3.5 | 0.1 | 0.0 | 0.9 | 0.0 | -3.4 |
| 2016 | -1.7 | 1.7 | -1.4 | 0.0 | 0.2 | 1.1 | -2.8 | 0.2 | 0.0 | 0.0 | 0.1 | 0.0 | -2.7 |
| 2017 | -0.4 | 1.7 | 0.0 | -0.4 | 0.8 | 0.0 | -0.2 | 1.1 | 0.0 | 1.1 | 0.9 | 0.0 | 4.6 |
| 2018 | 0.5 | -0.2 | 0.0 | -0.3 | 0.4 | 0.0 | -1.2 | 0.0 | 1.5 | 1.5 | 0.0 | 0.0 | 2.3 |
| 2019 | 0.8 | 1.3 | 1.3 | -2.0 | 0.0 | -0.1 | -1.7 | 0.0 | -2.0 | 2.1 | 0.0 | 0.2 | -0.3 |
Row
Rolling Performance Chart
Snail Trail Chart
